How has the increase of Automated Trading Systems (ATS) influenced the futures market?
\[ \text{Performance} = \text{Skill} \times \sqrt{\text{Breadth}} \]
Two extremes
Single bet: \(0.51 \times 1000 + 0.49 \times (-1000) = 20\)
Multi bet: \(1000 \times [0.51 + 0.49 \times (-1)] = 20\)
The same expected return
Single bet: 49%
Multi bet: \(0.49 \times 0.49 \times \dots \times 0.49 = 0.49^{1000} \approx 0\)
\[ \text{risk} := \text{std}\left\{1,-1,-1,1, \dots, 1 \right\} = 1 \]
\[ \begin{align} \text{risk} &:= \text{std}\left\{1000,0,0,0, \dots, 0 \right\} = 31.62 \\ \text{risk} &:= \text{std}\left\{-1000,0,0,0, \dots, 0 \right\} = 31.62 \end{align} \]
Just like Sharpe Ratio
Single bet: \(\text{SR}_{\text{single}} = \frac{20}{31.62} =0.63\)
Multi bet: \(\text{SR}_{\text{multiple}} = \frac{20}{1} =20\)
\(20 = 0.63 \times \sqrt{1000}\)
\(\text{SR}_{\text{multiple}} = \text{SR}_{\text{single}} \times \sqrt{\text{Bets}}\)
\(\text{Performance} = \text{Skill} \times \sqrt{\text{Breadth}}\)
We use insights gained from years of fundamental trading to inspire bespoke quantitative strategies that are applied to a large collection of commodity markets



How to obtain a stationary time series







| Statistic | BB1 | BB1 live | BB2 | BB2 live |
|---|---|---|---|---|
| Annualized Return | 5.480 | 5.740 | 19.210 | 9.440 |
| Annualized Sharpe (Rf=0%) | 0.662 | 0.980 | 1.239 | 2.196 |
| Annualized Std Dev | 8.270 | 5.860 | 15.500 | 4.300 |
| Average Negative Month Return | -1.572 | NaN | -2.821 | -0.368 |
| Average Positive Month Return | 1.933 | 0.745 | 4.380 | 1.149 |
| Maximum Drawdown | 26.683 | 2.103 | 39.529 | 1.740 |
| Maximum Drawdown/Annualized Return | 4.869 | 0.366 | 2.058 | 0.184 |
| Number of Negative Months | 103.000 | 0.000 | 95.000 | 1.000 |
| Number of Positive Months | 147.000 | 7.000 | 154.000 | 4.000 |
Literature on extracting carry from futures:
Literature on applying machine learing techniques in algorithmic trading:
Aim of a trend following strategy
If we feed our trend system fake trendy data
can we trade it profitably?




| variable | TR1 | TR1 live |
|---|---|---|
| Annualized Return | 18.930 | -20.930 |
| Annualized Std Dev | 17.800 | 16.210 |
| Annualized Sharpe (Rf=0%) | 1.064 | -1.292 |
| Maximum Drawdown | 26.683 | 9.599 |
| Maximum Drawdown/Annualized Return | 1.410 | -0.459 |
| Number of Positive Months | 142.000 | 2.000 |
| Number of Negative Months | 107.000 | 1.000 |
| Average Positive Month Return | 5.710 | 2.939 |
| Average Negative Month Return | -3.497 | -3.441 |
In-house Research:
Strategy not yet live.
Strategy not yet live.


| Statistic | 1998- | 2008- | 2015- | live |
|---|---|---|---|---|
| Annualized Return | 13.700 | 12.720 | 2.260 | 4.040 |
| Annualized Sharpe (Rf=0%) | 1.088 | 1.006 | 0.243 | 0.729 |
| Annualized Std Dev | 12.590 | 12.650 | 9.300 | 5.540 |
| Average Negative Month Return | -2.352 | -2.433 | -1.975 | -0.869 |
| Average Positive Month Return | 3.751 | 3.771 | 2.236 | 1.088 |
| Maximum Drawdown | 25.575 | 25.575 | 14.132 | 3.104 |
| Maximum Drawdown/Annualized Return | 1.867 | 2.011 | 6.253 | 0.768 |
| Number of Negative Months | 105.000 | 56.000 | 23.000 | 1.000 |
| Number of Positive Months | 147.000 | 77.000 | 26.000 | 6.000 |

| Statistic | S&P500 | PSQCF | PSQCF and S&P500 |
|---|---|---|---|
| Annualized Return | 5.930 | 14.530 | 10.000 |
| Annualized Sharpe (Rf=0%) | 0.394 | 0.956 | 0.958 |
| Annualized Std Dev | 15.030 | 15.200 | 10.430 |
| Average Positive Month Return | 3.196 | 3.936 | 2.657 |
| Avereage Negative Month Return | -3.528 | -2.247 | -1.908 |
| Number of Negative Months | 97.000 | 109.000 | 99.000 |
| Number of Positive Months | 152.000 | 140.000 | 150.000 |
| Worst Drawdown | 54.029 | 20.216 | 25.903 |


| Statistic | S&P500 | PS Multi Strategy | PS Multi Strategy and S&P500 |
|---|---|---|---|
| Annualized Return | 12.890 | 13.060 | 13.310 |
| Annualized Sharpe (Rf=0%) | 1.139 | 1.270 | 1.770 |
| Annualized Std Dev | 11.320 | 10.290 | 7.520 |
| Average Positive Month Return | 2.794 | 2.771 | 2.159 |
| Avereage Negative Month Return | -2.385 | -1.891 | -1.328 |
| Number of Negative Months | 32.000 | 35.000 | 30.000 |
| Number of Positive Months | 64.000 | 61.000 | 66.000 |
| Worst Drawdown | 17.028 | 6.988 | 7.601 |
Combining a
to investing in commodities we create a product with
that gives superior risk adjusted returns.